AAXJ Options History — February 2016

In February 2016, AAXJ traded between $47.17 and $50.18. ATM implied volatility averaged 28.1%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.8% (HV 20d: 24.4%). Max pain ranged from $52.00 to $60.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.18.

Notable Days

  • 2016-02-12: Highest Volume — 274 contracts
  • 2016-02-08: Largest IV spike — 17.6% change
  • 2016-02-09: Highest IV Rank — 26.4%
  • 2016-02-11: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.76$47.17$50.18$49.31$49.42
Max Pain$58.25$52.00$60.00$52.00$59.00
ATM IV28.1%25.0%33.6%25.0%26.7%
Expected Move8.0%7.2%9.6%7.2%7.6%
HV 20d24.4%20.4%28.1%28.0%20.4%
HV 60d21.9%21.0%22.7%21.0%22.3%
IV Rank19.7%16.0%26.4%16.0%17.8%
IV Percentile88.2%78.2%98.0%83.3%84.1%
Term Structure-1.4%-3.8%0.3%0.3%-1.9%
VWIV28.7%23.7%33.6%27.6%24.4%
Skew 25d6.0%4.8%7.8%4.9%5.8%
Skew 10d12.5%7.6%16.8%8.1%10.5%
Call IV 25d25.4%22.6%29.7%22.6%23.6%
Put IV 25d31.3%27.5%37.6%27.5%29.5%
Bid-Ask Spread %47.8036.7864.9941.8764.99
Gamma HHI0.280.180.350.250.31
Net GEX-9.1K-12.7K-4.9K-9.0K-7.5K
Net DEX215.4K156.9K293.4K217.6K156.9K
Net VEX-1.2K-1.3K-968-1.3K-968
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.851.391.390.85
Total Volume237.3199274251200
Total OI235.4222257233222

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$49.31$52.0025.0%7.2%28.0%16.0%27.6%4.9%0.3%-9.0K217.6K-1.3K1.3941.87N/AN/A10514673160
2016-02-02$48.07$52.0027.2%7.8%27.3%18.5%30.7%5.5%-0.1%-11.6K264.8K-1.3K1.3943.77N/AN/A10514673160
2016-02-03$48.84$52.0027.1%7.8%28.1%18.5%30.6%4.8%-0.3%-10.0K241.9K-1.3K1.3942.43N/AN/A10514673160
2016-02-04$48.97$60.0027.7%7.7%27.3%19.2%29.0%6.2%-1.2%-9.6K232.9K-1.3K1.3936.78N/AN/A10514673160
2016-02-05$48.53$60.0027.7%7.8%26.1%19.2%29.5%6.0%-1.4%-10.5K250.1K-1.3K1.3941.47N/AN/A10514673160
2016-02-08$48.05$60.0032.6%8.8%26.0%25.1%31.1%7.1%-2.8%-11.3K263.4K-1.3K1.3839.74N/AN/A10614673160
2016-02-09$47.59$60.0033.6%9.0%26.1%26.4%32.6%7.3%-3.5%-11.8K276.6K-1.3K1.3837.58N/AN/A10614674160
2016-02-10$47.74$60.0030.4%8.7%26.2%22.4%31.7%7.1%-2.4%-12.0K269.2K-1.3K1.3843.45N/AN/A10614674160
2016-02-11$47.17$60.0033.6%9.6%26.2%26.4%33.6%7.8%-3.8%-12.7K293.4K-1.3K1.3748.52N/AN/A10714774160
2016-02-12$47.75$59.0031.2%8.9%26.3%23.4%32.6%7.5%-2.9%-12.4K274.3K-1.2K1.3443.45N/AN/A11715775161
2016-02-16$48.87$59.0028.9%8.3%24.2%20.7%31.5%6.8%-1.1%-8.2K199.9K-1.2K1.3446.83N/AN/A11715785171
2016-02-17$49.60$59.0026.6%7.6%23.9%17.8%29.3%5.8%-1.0%-5.8K158.7K-1.2K1.3448.67N/AN/A11715785172
2016-02-18$49.17$59.0027.3%7.8%21.8%18.8%28.1%5.8%-0.7%-4.9K163.0K-1.1K0.9751.32N/AN/A11711385172
2016-02-19$49.16$59.0026.7%7.6%21.7%18.0%26.7%5.5%0.0%-8.1K161.4K-1.1K0.9751.15N/AN/A11711385172
2016-02-22$50.18$59.0025.0%7.2%21.2%16.0%23.7%5.6%-0.6%-6.0K170.6K-1.1K0.8650.02N/AN/A1079275151
2016-02-23$49.26$59.0025.9%7.4%21.9%17.1%24.9%5.2%-0.7%-7.7K191.6K-1.0K0.8551.07N/AN/A1089275151
2016-02-24$49.18$59.0026.3%7.6%21.7%17.6%26.6%5.0%-1.8%-8.1K194.1K-1.1K0.8554.33N/AN/A1089276151
2016-02-25$49.27$59.0026.4%7.6%21.5%17.6%24.8%4.8%-1.4%-7.7K161.7K-1.0K0.8558.08N/AN/A1089276146
2016-02-26$49.11$59.0026.3%7.5%21.4%17.3%24.3%5.0%-1.3%-8.0K166.8K-1.0K0.8560.41N/AN/A1089276146
2016-02-29$49.42$59.0026.7%7.6%20.4%17.8%24.4%5.8%-1.9%-7.5K156.9K-9680.8564.99N/AN/A1089276146